October 22, 2010
President and COO
Rosenblatt Securities Inc.
New York +1 212 607 3100
Dublin +353 1 855 9125
LET THERE BE LIGHT
Rosenblatt’s Monthly Dark Liquidity Tracker
“But still you are nowhere, still you are nowhere, nowhere in sight
Come out to meet me, run out to meet me
Come into the light"
— Neko Case, 2008 (“This Tornado Loves You,” from the album “Middle Cyclone.”)
Dark pools in the US achieved record market share in September, as volatility continued to abate from May’s one-year high. The 16 non-displayed venues we track executed 12.08% of consolidated US equity volume last month, up substantially from 11.26% in October. Aggregate dark-pool volumes were up 7.67% month-to-month, to 872.9 million shares per day, compared with an increase of just 0.34% for consolidated volume (see “The Numbers” table on next page).
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